When you download songs from music services such as Napster, they're
normally protected with DRM (Digital Rights Management) technology, to
prevent copying the songs. Movie Maker 2 doesn't support importing DRM
protected music (since then you'd be able to effectively remove all
protections on the music just by bringing the song into Movie Maker -
something I'm sure the record labels don't want ).
If you are able to download WMA files that aren't DRM protected (or as John
mentions, WAV or MP3 files), then you'll be able to use those in MM2.